英文摘要 |
We document the prevalence of illiquidity premium in the international equity markets,across 45 markets over the period from 1990 to 2015. The global average illiquiditypremium is economically significant at 0.85% per month and it is 1.05% for the Asia-Pacific markets, after adjusting for exposure to global and regional return factors. We alsofind that investors demand a premium for stock illiquidity, after controlling for variousfirm characteristics that predict the cross-section of stock returns. |